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- W3155862577 abstract "I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with heterogeneous intermediaries facing financial frictions. Asset flows between intermediaries are quantitatively important for both the level of and variation in the risk premium. An empirical measure of the composition of the intermediary sector negatively forecasts future excess returns and is priced in the cross-section with a positive price of risk." @default.
- W3155862577 created "2021-04-26" @default.
- W3155862577 creator A5001024312 @default.
- W3155862577 date "2021-08-01" @default.
- W3155862577 modified "2023-10-02" @default.
- W3155862577 title "Heterogeneous intermediary asset pricing" @default.
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- W3155862577 doi "https://doi.org/10.1016/j.jfineco.2021.04.012" @default.
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